investment performance a review and synthesis

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1、CHAPTER14InvestmentPerformance:AReviewandSynthesisWayneE.FersonIvadelleandTheodoreJohnsonChairinBankingandFinance,MarshallSchoolofBusiness,UniversityofSouthernCalifornia,3670TroudaleParkwaySuite308,LosAngeles,CA90089-142,USAContents1.Introduction9702.TheStochasticDiscountFactor(SDF)Framework9712

2、.1MarketEfficiencyandFundPerformance9722.2TheTreatmentofCosts9743.PerformanceMeasures9753.1Returns-BasedAlphaandAppropriateBenchmarks9753.2TheSharpeRatio9773.3ConditionalPerformanceEvaluation(CPE)9783.3.1Time-VaryingAbility?9803.4UnconditionalEfficiencyandPerformanceEvaluation9813.5MarketTiming9

3、823.6ConditionalMarketTiming9843.7Holdings-BasedPerformanceMeasures9843.7.1TheFoundationsofHoldings-BasedMeasures9843.7.2WhyCurrentHoldings-BasedMeasuresareFlawed9863.7.3WhenareCurrentHoldings-BasedMeasuresJustified?9873.7.4CombiningHoldingsandReturns9884.ImplementationIssuesandEmpiricalExamples

4、9894.1DataIssues9904.2InterimTrading9914.3Liquidity9924.3.1TheNAVLiquidityOption9924.3.2TheLiquidityofFundAssets9934.3.3ReturnSmoothingandIlliquidity9944.4EmpiricalExamples9954.5SkillVersusLuck9995.FundManagers’IncentivesandInvestorBehavior10005.1FlowstoMutualFunds10026.Conclusions1004Acknowledg

5、ments1004References1004HandbookoftheEconomicsofFinance©2013ElsevierB.V.http://dx.doi.org/10.1016/B978-0-44-459406-8.00014-7Allrightsreserved.969970WayneE.Ferson1.INTRODUCTIONThisisagoodtimetoreviewtheacademicfinanceliteratureonevaluatinginvestmentperformance,asrecentyearshavewitnessedanexplosion

6、ofthevolumeandthebreadthofsuchresearch.Itisnowdifficultevenforaspecialisttokeepup.Thegoalofthischapteristoprovideacriticaloverviewofcurrentmethodsformeasuringinvestmentperformance.Thisisaselectivereview,emphasizingwhatIthinkarethemostimportantissues,andwrittenforanonspecialistwhowouldliketogetup

7、tospeedandperhapscontributetofutureresearchinthisarea.Theselectionbiasinthechoiceoftopicsreflectstheauthor’sinterestsandadmittedlylimitedknowledgeofsovastanarea.Myup-frontapologyisofferedtothespecialistwhosepapersIhaveomitte